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FINRA-Interactive Data Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * * 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price * * 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * * 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price * * 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price * * 0.0 0.0 0.0 0.0 0.0
4th Quartile Price * * 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades * * 0.0 0.0 0.0 0.0 0.0
Standard Deviation * * 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * * 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES * * 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 101.1 103.0 104.2 0.0 0.0 0.0 0.0
Weighted Avg. Price 101.1 103.0 104.2 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 101.1 103.0 104.2 0.0 0.0 0.0 0.0
2nd Quartile Price 101.1 103.0 104.2 0.0 0.0 0.0 0.0
3rd Quartile Price 101.2 103.0 104.2 0.0 0.0 0.0 0.0
4th Quartile Price 101.2 103.0 104.3 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 101.2 103.1 104.3 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.1 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 3,169,305.0 4,923,876.3 1,138,693.2 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 328 314 90 0 0 0 0
FHLMC
AVERAGE PRICE 101.1 103.1 104.5 0.0 0.0 0.0 0.0
Weighted Avg. Price 101.1 103.1 104.4 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 101.0 103.0 104.4 0.0 0.0 0.0 0.0
2nd Quartile Price 101.0 103.1 104.4 0.0 0.0 0.0 0.0
3rd Quartile Price 101.1 103.1 104.5 0.0 0.0 0.0 0.0
4th Quartile Price 101.1 103.1 104.5 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 101.1 103.1 104.5 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 185,811.4 851,247.1 88,816.3 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 20 44 10 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
OCTOBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 101.0 102.9 104.1 0.0 0.0 0.0 0.0
Weighted Avg. Price 101.0 102.9 104.2 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.9 102.8 104.1 0.0 0.0 0.0 0.0
2nd Quartile Price 101.0 102.9 104.2 0.0 0.0 0.0 0.0
3rd Quartile Price 101.0 102.9 104.2 0.0 0.0 0.0 0.0
4th Quartile Price 101.0 102.9 104.2 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 101.0 102.9 104.2 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 1,845,050.0 1,912,200.0 438,300.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 77 73 14 0 0 0 0
FHLMC
AVERAGE PRICE * 102.9 * 0.0 0.0 0.0 0.0
Weighted Avg. Price * 102.9 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 102.9 * 0.0 0.0 0.0 0.0
2nd Quartile Price * * * 0.0 0.0 0.0 0.0
3rd Quartile Price * * * 0.0 0.0 0.0 0.0
4th Quartile Price * * * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades * 102.9 * 0.0 0.0 0.0 0.0
Standard Deviation * 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 116,000.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES * 7 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.8 102.7 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.8 102.8 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.8 102.7 * 0.0 0.0 0.0 0.0
2nd Quartile Price 100.8 102.7 * 0.0 0.0 0.0 0.0
3rd Quartile Price 100.8 102.7 * 0.0 0.0 0.0 0.0
4th Quartile Price 100.9 102.7 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.9 102.8 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 82,500.0 116,000.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 20 28 * 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 * 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 * 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 * 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 * 106.1 * 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 106.2 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 106.1 * 0.0 0.0
2nd Quartile Price 0.0 0.0 * * * 0.0 0.0
3rd Quartile Price 0.0 0.0 * * * 0.0 0.0
4th Quartile Price 0.0 0.0 * * * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 106.1 * 0.0 0.0
Standard Deviation 0.0 0.0 * 0.8 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 13,470.6 * 0.0 0.0
     NUMBER OF TRADES 0 0 * 6 * 0 0
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 100.6 103.2 105.4 107.4 * *
Weighted Avg. Price * 100.6 103.2 105.4 107.4 * *
Avg. Price Bottom 5 Trades * 100.6 103.2 105.4 107.4 * *
2nd Quartile Price * 100.6 103.2 105.4 107.4 * *
3rd Quartile Price * 100.6 103.2 105.4 107.4 * *
4th Quartile Price * 100.7 103.3 105.4 107.4 * *
Avg. Price Top 5 Trades * 100.7 103.3 105.4 107.5 * *
Standard Deviation * 0.0 0.0 0.0 0.1 * *
     VOLUME OF TRADES (000'S) * 7,177,866.4 24,296,329.6 19,038,385.1 1,256,242.6 * *
     NUMBER OF TRADES * 511 1,004 619 142 * *
FHLMC
AVERAGE PRICE 0.0 100.6 103.3 105.4 107.3 * *
Weighted Avg. Price 0.0 100.6 103.3 105.4 107.3 * *
Avg. Price Bottom 5 Trades 0.0 100.6 103.2 105.4 107.3 * *
2nd Quartile Price 0.0 100.6 103.3 105.4 * * *
3rd Quartile Price 0.0 100.6 103.3 105.4 * * *
4th Quartile Price 0.0 100.6 103.3 105.4 * * *
Avg. Price Top 5 Trades 0.0 100.7 103.3 105.4 107.3 * *
Standard Deviation 0.0 0.0 0.0 0.0 0.0 * *
     VOLUME OF TRADES (000'S) 0.0 422,839.3 2,976,828.5 3,761,926.0 307,405.3 * *
     NUMBER OF TRADES 0 36 64 77 13 * *
GNMA
AVERAGE PRICE * 101.6 103.9 105.1 106.3 * 0.0
Weighted Avg. Price * 101.6 103.9 105.1 106.2 * 0.0
Avg. Price Bottom 5 Trades * 101.5 103.8 104.9 106.1 * 0.0
2nd Quartile Price * 101.6 103.9 105.1 106.2 * 0.0
3rd Quartile Price * 101.6 103.9 105.1 106.2 * 0.0
4th Quartile Price * 101.6 104.0 105.1 106.2 * 0.0
Avg. Price Top 5 Trades * 101.7 104.1 106.3 106.9 * 0.0
Standard Deviation * 0.1 0.1 0.3 0.3 * 0.0
     VOLUME OF TRADES (000'S) * 3,348,603.7 6,351,720.1 5,667,397.9 1,143,856.5 * 0.0
     NUMBER OF TRADES * 128 322 227 67 * 0
OCTOBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 100.5 103.1 105.2 107.3 * *
Weighted Avg. Price 0.0 100.5 103.1 105.2 107.3 * *
Avg. Price Bottom 5 Trades 0.0 100.4 103.0 105.2 107.3 * *
2nd Quartile Price 0.0 100.5 103.1 105.2 107.3 * *
3rd Quartile Price 0.0 100.5 103.1 105.2 107.3 * *
4th Quartile Price 0.0 100.5 103.1 105.3 107.3 * *
Avg. Price Top 5 Trades 0.0 100.6 103.2 105.3 107.3 * *
Standard Deviation 0.0 0.2 0.0 0.0 0.0 * *
     VOLUME OF TRADES (000'S) 0.0 1,826,700.0 14,142,490.0 11,263,650.0 408,855.0 * *
     NUMBER OF TRADES 0 67 252 154 20 * *
FHLMC
AVERAGE PRICE 0.0 100.4 103.1 105.3 * 0.0 0.0
Weighted Avg. Price 0.0 100.5 103.1 105.3 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.4 103.1 105.2 * 0.0 0.0
2nd Quartile Price 0.0 * 103.1 105.2 * 0.0 0.0
3rd Quartile Price 0.0 * 103.1 105.3 * 0.0 0.0
4th Quartile Price 0.0 * 103.2 105.3 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.4 103.1 105.3 * 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 158,000.0 748,500.0 1,129,725.0 * 0.0 0.0
     NUMBER OF TRADES 0 13 22 17 * 0 0
GNMA
AVERAGE PRICE 0.0 101.5 103.8 105.0 106.1 0.0 0.0
Weighted Avg. Price 0.0 101.5 103.8 105.0 106.1 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 101.4 103.7 104.9 106.0 0.0 0.0
2nd Quartile Price 0.0 101.5 103.7 105.0 106.0 0.0 0.0
3rd Quartile Price 0.0 101.5 103.8 105.0 106.1 0.0 0.0
4th Quartile Price 0.0 101.5 103.8 105.0 106.1 0.0 0.0
Avg. Price Top 5 Trades 0.0 101.7 103.8 105.0 106.2 0.0 0.0
Standard Deviation 0.0 0.2 0.0 0.0 0.2 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 1,001,520.0 2,043,021.0 3,745,452.0 1,010,125.0 0.0 0.0
     NUMBER OF TRADES 0 47 155 105 40 0 0
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 100.3 102.9 105.1 107.1 0.0 0.0
Weighted Avg. Price 0.0 100.4 102.9 105.1 107.1 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.3 102.9 105.1 107.1 0.0 0.0
2nd Quartile Price 0.0 100.3 102.9 105.1 * 0.0 0.0
3rd Quartile Price 0.0 100.3 102.9 105.1 * 0.0 0.0
4th Quartile Price 0.0 100.3 102.9 105.1 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.5 102.9 105.1 107.1 0.0 0.0
Standard Deviation 0.0 0.2 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 575,750.0 6,785,250.0 2,957,650.0 9,350.0 0.0 0.0
     NUMBER OF TRADES 0 57 211 70 5 0 0
FHLMC
AVERAGE PRICE 0.0 100.3 102.9 105.1 * 0.0 0.0
Weighted Avg. Price 0.0 100.3 102.9 105.1 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.3 102.9 105.1 * 0.0 0.0
2nd Quartile Price 0.0 * 102.9 * * 0.0 0.0
3rd Quartile Price 0.0 * 102.9 * * 0.0 0.0
4th Quartile Price 0.0 * 102.9 * * 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.3 102.9 105.1 * 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 233,000.0 212,500.0 204,000.0 * 0.0 0.0
     NUMBER OF TRADES 0 6 14 5 * 0 0
GNMA
AVERAGE PRICE * 101.3 103.6 104.9 105.9 0.0 0.0
Weighted Avg. Price * 101.3 103.6 104.9 105.9 0.0 0.0
Avg. Price Bottom 5 Trades * 101.3 103.6 104.9 105.8 0.0 0.0
2nd Quartile Price * 101.3 103.6 104.9 105.9 0.0 0.0
3rd Quartile Price * 101.3 103.6 104.9 105.9 0.0 0.0
4th Quartile Price * 101.3 103.6 104.9 105.9 0.0 0.0
Avg. Price Top 5 Trades * 101.4 103.6 104.9 105.9 0.0 0.0
Standard Deviation * 0.0 0.0 0.0 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) * 188,244.0 713,766.0 791,450.0 39,000.0 0.0 0.0
     NUMBER OF TRADES * 41 139 68 16 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.